Liner shipping industry and oil price volatility: Dynamic connectedness and portfolio diversification

Debasish Maitra, Saurabh Chandra and Saumya Ranjan Dash

Transportation Research Part E: Logistics and Transportation Review, 2020, vol. 138, issue C

Abstract: Given the importance of the relationship between oil and liner shipping markets, this paper examines the volatility spillover and connectedness between oil and liner shipping markets. We employ dynamic conditional equicorrelations and spillover index approach to know volatility co-movement and spillover between oil prices and returns of liner shipping stocks, respectively. The volatility co-movement between oil and liner shipping companies’ stock returns increased during the 2007–09 global financial crisis, and 2010–12 Eurozone debt crisis. We extend our analysis by considering portfolio diversification strategies and utility gains across pre-crisis, crisis, and post-crisis periods. Our findings are useful to policymakers and investors.

Keywords: Oil price; Portfolio diversification; Liner shipping; Utility maximization; Volatility spillover (search for similar items in EconPapers)
Date: 2020
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Citations: View citations in EconPapers (13)

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DOI: 10.1016/j.tre.2020.101962

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